Which One of the Following Statements Is Correct

Multiple Choice

Which one of the following statements is correct?

A) A beta of 1.2 indicates that a security has less risk than the overall market.
B) Treasury bills have a beta of zero.
C) A stock with a beta of 1.4 has less systematic risk than a stock with a beta of.9.
D) The risk premium associated with a stock will decrease as the beta of the stock increases.
E) The beta of a diversified portfolio will approach zero as the number of stocks in the portfolio is increased.